A portmanteau test to detect self-exciting threshold autoregressive-type nonlinearity in time series data is proposed. The test is based on cumulative sums of standardized residuals from ...

We investigate the stability, in terms of V-uniform ergodicity or transience, of cyclic threshold autoregressive time series models. These models cycle through one of a number of collections of ...

We apply a variety of volatility models in setting the initial margin requirements for central clearing counterparties (CCPs) and show how to mitigate procyclicality using a three-regime threshold ...